XLP Options History — May 2016

In May 2016, XLP traded between $51.94 and $54.02. ATM implied volatility averaged 12.4%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.6% (HV 20d: 11.8%). Max pain ranged from $52.00 to $53.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.89.

Notable Days

  • 2016-05-18: Highest Volume — 46,499 contracts
  • 2016-05-18: Largest IV spike — 13.2% change
  • 2016-05-18: Highest IV Rank — 36.6%
  • 2016-05-18: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.98$51.94$54.02$52.86$52.78
Max Pain$52.19$52.00$53.00$53.00$52.50
ATM IV12.4%10.7%15.3%11.9%11.8%
Expected Move3.7%3.3%4.4%3.5%3.7%
HV 20d11.8%10.4%13.6%11.7%12.4%
HV 60d10.6%10.0%11.5%10.4%11.0%
IV Rank18.5%7.5%36.6%14.9%14.6%
IV Percentile42.0%12.7%74.2%37.7%32.1%
Term Structure0.1%-0.9%1.8%0.3%-0.7%
VWIV14.0%12.0%16.6%13.9%14.1%
Skew 25d3.6%3.1%4.6%3.6%3.9%
Skew 10d7.5%6.3%8.9%8.5%8.1%
Call IV 25d10.9%9.3%13.6%10.5%11.0%
Put IV 25d14.5%12.6%17.2%14.2%14.9%
Bid-Ask Spread %8.775.2314.617.2412.95
Gamma HHI0.160.130.310.180.14
Net GEX-38.2M-87.8M-17.6M-55.7M-21.7M
Net DEX66.3M-113.0M332.7M110.4M112.1M
Net VEX-1.9M-2.1M-1.6M-1.8M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.891.668.643.983.57
Total Volume27,073.76215,42246,49926,45221,966
Total OI343,520.048301,553389,234326,593329,836

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$52.86$53.0011.9%3.5%11.7%14.9%13.9%3.6%0.3%-55.7M110.4M-1.8M3.987.245,31421,13871,417255,176
2016-05-03$52.83$53.0012.1%3.4%11.5%16.3%14.1%3.4%0.0%-55.7M118.5M-1.9M3.557.354,10814,59373,948256,046
2016-05-04$52.97$53.0012.1%3.5%11.0%16.2%14.6%3.6%0.2%-51.3M77.2M-1.8M2.2714.618,89220,16775,090257,299
2016-05-05$52.91$52.0012.3%3.8%10.4%17.6%12.7%3.5%0.1%-49.9M84.8M-2.0M1.667.678,69114,42481,948264,328
2016-05-06$53.19$52.0012.0%3.7%10.5%15.8%16.6%3.1%0.1%-31.2M24.6M-1.9M3.359.128,89129,79682,134265,189
2016-05-09$53.53$52.0011.6%3.4%10.5%13.3%13.6%3.5%-0.1%-31.9M-31.9M-1.7M2.238.267,53016,82580,905258,931
2016-05-10$54.02$52.0010.7%3.3%10.8%7.5%13.0%3.3%0.8%-19.5M-113.0M-1.6M3.065.968,62126,38481,084262,782
2016-05-11$53.65$52.0011.5%3.4%10.7%12.5%13.6%3.2%0.1%-21.0M-73.0M-1.6M2.657.358,24721,84481,308259,300
2016-05-12$53.92$52.0011.0%3.5%10.6%9.2%14.5%3.5%1.1%-18.8M-96.3M-1.7M5.946.983,33119,78687,922270,569
2016-05-13$53.28$52.0012.3%3.9%11.4%17.9%13.4%3.3%1.8%-33.3M30.4M-1.9M5.0011.375,97829,91889,395278,585
2016-05-16$53.52$52.0012.0%3.5%11.5%15.5%13.7%3.7%0.6%-21.0M-51.0M-1.9M5.959.373,63621,64991,742273,602
2016-05-17$53.10$52.0013.5%3.9%11.8%25.4%13.6%3.7%-0.2%-38.7M38.1M-2.0M8.646.793,56530,81792,975276,041
2016-05-18$51.94$52.0015.3%4.4%13.6%36.6%16.5%3.7%-0.1%-81.6M332.7M-2.1M4.7113.108,13738,36292,537291,559
2016-05-19$52.43$52.0015.2%4.4%12.7%35.7%16.2%3.8%-0.9%-75.2M199.2M-2.0M6.418.153,73623,94793,408289,001
2016-05-20$52.17$52.0014.6%4.2%12.8%32.4%13.6%3.4%-0.5%-87.8M241.2M-2.0M2.436.334,94412,03194,883294,351
2016-05-23$52.20$52.0014.1%4.1%12.6%29.2%14.8%4.6%-0.4%-29.9M149.8M-2.0M2.415.434,52210,90078,045223,508
2016-05-24$52.68$52.0013.3%3.9%13.0%23.8%13.8%4.3%-0.0%-20.9M81.0M-1.9M3.247.995,27017,08379,358225,591
2016-05-25$52.80$52.0011.9%3.6%12.9%15.0%13.2%3.9%0.2%-20.0M66.8M-1.9M1.955.238,50116,61881,559225,668
2016-05-26$52.92$52.5011.2%3.3%12.8%10.9%12.0%3.6%0.1%-17.6M50.0M-2.0M6.1411.092,85017,49388,167234,929
2016-05-27$52.98$52.0011.0%3.3%12.8%9.5%12.0%3.4%-0.3%-18.8M40.7M-1.9M2.4411.778,16119,88387,330236,475
2016-05-31$52.78$52.5011.8%3.7%12.4%14.6%14.1%3.9%-0.7%-21.7M112.1M-2.0M3.5712.954,80617,16091,495238,341